ICE Data Services has established a means of tracking liquidity conditions in fixed income markets, in response to a request from ICMA.

With the permission of ICE Data Services, ICMA intends to publish and monitor the ICE Data Services’ Corporate Bond Liquidity Tracker on a quarterly basis. Currently the trackers cover IG and HY corporate bond markets for EUR, USD, and GBP.

June 2019

Corporate bond market liquidity appears to show a sharp decline in Q1 2018, which largely correlates with the US led sell-off in global credit markets. But IG remained relatively rangebound throughout 2018 followed by a drop at year-end. Subsequently, liquidity levels rebounded swiftly in Q1 2019 and continued to improve throughout Q2 2019.

EUR and GBP, but also USD HY liquidity, however, shows a fairly steep decline throughout 2018 followed by a marked drop at year-end. Liquidity levels recovered throughout Q1 2019, before following a downward trend in Q2 2019.

While it is difficult to attribute causality, a possible explanation for the deterioration in EUR HY liquidity could be the announcement of the winddown of the ECB’s Corporate Sector Purchase Programme (CSPP). While HY is not in scope of the purchase programme, the sector has benefited from a “portfolio rebalancing” effect. Rate hikes in the US, widening CDS spreads and falling equities markets appear furthermore to have had a knock-on effect on reduced EUR and GBP liquidity. However, a stable outlook on monetary policy and tightening CDS spreads seem to have countered this effect in Q1 2019. Meanwhile, the continued economic uncertainty arising from Brexit, global geopolitical tensions and a “flight-to-quality” appear to have had an adverse impact on HY liquidity in Q2 2019.

ICE Liquidity Tracker

ICE Liquidity Trackers are designed to reflect average liquidity across global markets. The ICE Liquidity Trackers are bounded from 0 to 100, with 0 reflecting a weighted-average liquidity cost estimate of 10% and 100 reflecting a liquidity cost estimate of 0%. The ICE Liquidity Trackers are directly relatable to each other, and therefore, the higher the level of the ICE Liquidity Tracker the higher the projected liquidity of that portfolio of securities at that point in time, as compared with a lower level. Statistical methods are employed to measure liquidity dynamics at the security level (including estimating projected trade volume capacity, projected volatility, projected time to liquidate and projected liquidation costs) which are then aggregated at the portfolio level to form the ICE Liquidity Trackers by asset class and sector. ICE Data Services incorporates a combination of publicly available data sets from trade repositories as well as proprietary and non-public sources of market colour and transactional data across global markets, along with evaluated pricing information and reference data to support statistical calibrations.

Historical tracker data and commentary from previous quarters can be found below:

March 2019

December 2018

September 2018

June 2018

March 2018

December 2017

September 2017

June 2017

March 2017

December 2016

September 2016

July 2016


Andy Hill
Senior Director, Market Practice and Regulatory Policy; secretary to the Secondary Market Practices Committee and also responsible for overseeing repo policy.
Direct line: +44 20 7213 0335

Gabriel Callsen
Director, Market Practice and Regulatory Policy
Direct line: +44 20 7213 0334
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